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Vix to 40+

Submitted by South of Wall Street on 11/20/2011 23:11 -0400

SocGen’s news flow index suggests the VIX is headed between 40 and 50. They arrive at this by counting “the number of newspaper articles highlighting themes related to economic strength... Historically they have proven highly sensitive to financial assets pricing, and often lead trends by a few months.”

With the VIX holding 30 (twice the level we started the year mind you) on every ‘confidence’ rally, I won’t be surprised the day she blows. Whether it is China, Germany leaving the EU, or Israel lobbing one at Iran … we are in a very fragile environment, and I’m convinced that risk assets will not be able to handle any type of shock. This is for a variety of reasons: confidence, liquidity, regulation, solvency, etc.

The composition of this index from SocGen is not as important as the message that we are in an extremely volatile environment – and volatility is lagging. Be prepared.

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Mon, 11/21/2011 - 10:17 | 1898196 topshelfstuff

Though not mentioned, this past Wednesday ended the Nov [CASH] Vix Index. The 2 most used vehicles to play for a Rise in the Index, VXX and TVIX, TVIX is a 2X the move tracker. The Description tells you they Roll using the Front 2 months, now Dec has the Increased Volatility that was showing in the Novembers

Example: On Oct 4 the Nov hit 46.88 on 10/04/11, while the Dec hit "only" 37.85 on 10/04/11

VXX did
Sep 29, 2011 49.07
Oct 4, 2011 59.18

TVIX in the same days did nearly 50% from Low to High

78.18 - 109.17

TVIX, no Options available, often does over 10% a day, but these are really qick in and out plays

from VXX Description:

The index offers exposure to a daily rolling long position in the first and second month VIX futures contracts and reflects the implied volatility of the S&P 500 index at various points along the volatility forward curve. The index futures roll continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract.

Mon, 11/21/2011 - 09:52 | 1898091 Zer0henge

So what is a risk asset now? Everything?

Mon, 11/21/2011 - 09:26 | 1898006 ChitownTrader

Agreed my friend. I think we will see VIX right around 50 by tuesday, but be prepared for a santa clause rally before it really goes belly up.

Mon, 11/21/2011 - 10:03 | 1898130 Tijuana Donkey Show

With the way things have been changing, I would focus less on (satan) santa, and look hard at the "clause". Santa only offers voluntary haircuts for good little serfs, which don't violate the Christmas CDS I bought.....

Mon, 11/21/2011 - 09:02 | 1897971 Overflow-admin

This is SHTF alpha-release. Beta-release will only be distributed to insider traders, so everyone should be aware that when crash is priced in it will be too late (except for the insider bitchez).

We are Anonymous
We are Legion
We do not forgive mainstream media for their patent disinformation and propagandist campaigns
We do not forget the effects of exhuberant irrationality on investment strategies and price discovery
Expect a market crash soon.

Mon, 11/21/2011 - 09:49 | 1898076 CPL